Efficient Estimation with Missing Data and Endogeneity

Rai, B (2023) Efficient Estimation with Missing Data and Endogeneity. Econometric Reviews, 42 (2). pp. 220-239. ISSN 1532-4168

Full text not available from this repository. (Request a copy)


AbstractI study the problem of missing values in the outcome and endogenous covariates in linear models. I propose an estimator that improves efficiency relative to a complete cases 2SLS. Unlike traditional imputation, my estimator is consistent even if the model contains nonlinear functions – like squares and interactions – of the endogenous covariates. It can also be used to combine data sets with missing outcome, missing endogenous covariates, and no missing variables. It includes the well-known “Two-Sample 2SLS” as a special case under weaker assumptions than the corresponding literature.

Item Type: Article
Subjects: Economics
Date Deposited: 03 Aug 2023 19:20
Last Modified: 03 Aug 2023 19:20
URI: https://eprints.exchange.isb.edu/id/eprint/1797

Actions (login required)

View Item
View Item